Apple Pin Pie?

• Posted by Adam Warner
• on September 18th, 2009

Well you don’t need me to tell you that AAPL hovers dangerously near 185 right before expiration. Quadruple Witching Expiration no less,

Wait a sec, that’s such a big event, it needs all caps.

QUADRUPLE WITCHING EXPIRATION. If you have CNBC on and take a chug every time you hear it today, you’ll be under the table before Kudlow gets on stage.

Oh yeah, AAPL, it’s an interesting one today. On Wednesday, the September 185 calls traded roughly 42K times vs. an open interest around 15,000. All that trading only bumped open interest by 1000 contracts.

Then it went completely on tilt on Thursday, trading 77,000 more times,  It’s just an oddly large volume a day before expiration, particularly in a stock that isn’t exactly off the radar.

And frankly, I don’t have a great answer as to whether this makes it more or less likely to pin. The fact that actual open interest hasn’t moved much leads to a more “none of the above” answer. But we can infer that if nothing else, we at least have some new hands on the open interest. But those folks could go either way. If it moves away from strike, the “new” options shorts will need to cover pretty quickly, and would add to the move (on the margins). Conversely, if it’s hovering, the “new” longs will exit pretty quickly and push it towards the pin.

Bottom line is, it’s a pretty unusual situation, seeing 4.5X the open interst trade with 1 day to go. I have a position here, but not on this line, so will keep an open mind if I see it look one way (pin) or another (away from strike).

The information in this blog post represents my own opinions and does not contain a recommendation for any particular security or investment. I or my affiliates may hold positions or other interests in securities mentioned in the Blog, please see my Disclaimer page for my full disclaimer.

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